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Homework Help: [markov chain] reading expected value from the transition matrix

  1. Dec 29, 2009 #1
    Hello there,

    yet another trivial problem:
    I've attended the 'stochastic process' course some time ago but the only thing I remember is that this kind of problem is really easy to compute, there is some simple pattern for this I presume.

    thanks for your help,
    rahl.
     
  2. jcsd
  3. Dec 29, 2009 #2
    I don't think there's an easy answer to that. You can modify the matrix so, the chain will remain in state [itex] e_n [/itex] if it gets there, and compute [tex] \sum_{k=1}^\infty k (i M^k - i M^{k-1})[/tex]

    where i is the initial state of (1, 0, ..... , 0) and M the transition matrix. You need the last component of this of course.
     
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